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Analyzing and Applying Existing and New Jump Detection Methods for Intraday Stock Data

By William Warren Davis

This paper attempts to explore two recent statistics used to identify jumps in stock prices, as well as to propose a modification to one of the statistics to increase its accuracy by adding a second stage with a different estimator of local volatility. After identifying potential jump days, a study of Bristol-Myers Squibb Co. stock was performed, identifying the types of company-specific events that occurred on these days that seemed to cause jumps in the price. Also, the new proposed statistic was found to be more accurate by a using method of changing the significance levels used in each stage, as well as in samples with an extremely high jump frequency.

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Advisor: George Tauchen

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